我正在尝试使用QuantMod库中的函数getOptionChain（）来下载VIX，SP500和Eurostoxx 50的选项链，但以下内容不起作用：
library(quantmod)
VIX.OPT <- getOptionChain("^VIX")
我收到了这个错误：
Error in lapply(strsplit(opt, "<tr>"), function(.) gsub(",", "", gsub("N/A", :
subscript out of bounds
In addition: Warning message:
In readLines(paste(paste("http://finance.yahoo.com/q/op?s", Symbols, :
incomplete final line found on 'http://finance.yahoo.com/q/op?s=^VIX+Options'
我该如何解决这个问题？
答案 0 :(得分：2)
我正在为此修补补丁。到目前为止，这是有效的，但您必须准确指定操作日期（月的第三个星期五）。
示例电话：
getOptionChain("^VIX")
$calls
Strike Bid Ask Last Vol OI
VIX141119C00010000 10.0 7.10 7.40 7.10 18 1974
VIX141119C00010500 10.5 6.60 6.90 6.90 330 510
VIX141119C00011000 11.0 6.10 6.40 6.10 108 1469 ...
getOptionChain("^VIX", '2014-12-16') #note VIX dec expiry is NOT 12/19, weird
$calls
Strike Bid Ask Last Vol OI
VIX141217C00010000 10.0 7.10 7.40 7.50 1 964
VIX141217C00011000 11.0 6.20 6.40 6.53 100 673
VIX141217C00012000 12.0 5.20 5.40 5.50 4 873 ...
格式与旧版本匹配（我认为）。
此补丁引入了对rjson包的新依赖关系。
要使用该补丁，请安装rjson（install.packages（＆＃34; rjson＆＃34;）），然后在加载quantmod后从R控制台运行以下命令：
getOptionChain.yahoo.patch <- function(Symbols, Exp, ...)
{
library("XML")
library("rjson")
millisToDate <- function(x)
{
return (as.Date(x / 86400000, origin = "1970-01-01"))
}
dateToMillis <- function(x)
{
as.numeric(x+1) * 86400000 /1000
}
parse.expiry <- function(x) {
if(is.null(x))
return(NULL)
if(is.character(x))
{
x <- as.Date(x)
}
if(inherits(x, "Date") || inherits(x, "POSIXt"))
return(dateToMillis(x))
return(NULL)
}
getOptionChainJson <- function(sym, Exp)
{
if(missing(Exp))
{
url <- paste("http://finance.yahoo.com/q/op?s",sym,sep="=")
opt <- readLines(url)
}
else
{
url <- paste("http://finance.yahoo.com/q/op?s=",sym,"&date=",parse.expiry(Exp),sep="")
opt <- readLines(url)
}
opt <- opt[grep("percentChangeRaw", opt)]
opt <- unlist(strsplit(opt, "<script>"))
json <- opt[3]
json <- gsub("<script>", "", json)
json <- gsub("</script>", "", json)
json <- gsub(";", "", json)
json <- unlist(strsplit(json, "="))[4]
j <- fromJSON(json)
price <- j$models$applet_model$data$optionData$quote$regularMarketPrice
calls <- j$models$applet_model$data$optionData$options$calls
puts <- j$models$applet_model$data$optionData$options$puts
return (list(calls=chainToDf(calls), puts=chainToDf(puts), price = price, sym = sym))
}
chainToDf <- function(theList)
{
x <- do.call(rbind.data.frame, theList)
rownames(x) <- x$contractSymbol
y <- x[,c("strike", "bid", "ask", "lastPrice", "volume", "openInterest")]
theNames <- c("Strike", "Bid", "Ask", "Last", "Vol", "OI")
names(y) <- theNames
for(i in theNames)
{
y[,i] <- as.numeric(as.character(y[,i]))
}
#y$contractSymbol <- as.character(x$contractSymbol)
#y$expiration <- millisToDate(as.numeric(as.character(x$expiration)) * 1000)
return(y)
}
getOptionChainJson(Symbols, Exp)
}
assignInNamespace("getOptionChain.yahoo", getOptionChain.yahoo.patch, "quantmod")
答案 1 :(得分：1)
我无法找到基于雅虎数据的可行解决方案。我仍在使用QuantMod和Yahoo获取股票数据，现在使用Google获取期权链数据。这是对工作解决方案的第一次尝试：
library(rjson)
getOptionChain <- function (symbol) {
# symbol = "WMT"
url <- "https://www.google.com/finance/option_chain?q="
# url <- paste(url, symbol, "&expd=15&expm=01&expy=2016&output=json", sep="")
url <- paste(url, symbol, "&output=json", sep="")
google.options.json <- readLines(url, warn = FALSE)
options.json <- google.options.json
options.json <- gsub("[{]", "{\"", options.json)
options.json <- gsub("[:]", "\":", options.json)
options.json <- gsub("[,] ", "$$$", options.json)
options.json <- gsub("[,]", ",\"", options.json)
options.json <- gsub("[,]\"[{]", ",{", options.json)
options.json <- gsub("[$][$][$]", ", ", options.json)
options.list <- fromJSON(options.json)
#get the options chain without an expiry date and then determine longest option
last.expiration <- length(options.list[["expirations"]])
month <- sprintf("%02d", options.list[["expirations"]][[last.expiration]]$m)
day <- sprintf("%02d", options.list[["expirations"]][[last.expiration]]$d )
year <- options.list[["expirations"]][[last.expiration]]$y
#now request option chain for the longest expiry
url <- "https://www.google.com/finance/option_chain?q="
url <- paste(url, symbol, "&expd=", day, "&expm=", month, "&expy=", year, "&output=json", sep="")
google.options.json <- readLines(url, warn = FALSE)
options.json <- google.options.json
options.json <- gsub("[{]", "{\"", options.json)
options.json <- gsub("[:]", "\":", options.json)
options.json <- gsub("[,] ", "$$$", options.json)
options.json <- gsub("[,]", ",\"", options.json)
options.json <- gsub("[,]\"[{]", ",{", options.json)
options.json <- gsub("[$][$][$]", ", ", options.json)
options.list <- fromJSON(options.json)
options <- ldply (options.list[["calls"]], data.frame)
options <- rename(options, c("s" = "contract.name",
"p" = "price",
"b" = "bid",
"a" = "ask",
"c" = "change",
"cp" = "change.percentage",
"oi" = "open.interest",
"vol" = "volume"))
options <- options[c( "contract.name",
"strike",
"price",
"change",
"change.percentage",
"bid",
"ask",
"volume",
"open.interest")]
options$expiry <- paste(options.list[["expiry"]]$m, options.list[["expiry"]]$d, options.list[["expiry"]]$y, sep = "/")
last.expiration <- length(options.list[["expirations"]])
options$longest.available.expiry <- paste(options.list[["expirations"]][[last.expiration]]$m,
options.list[["expirations"]][[last.expiration]]$d,
options.list[["expirations"]][[last.expiration]]$y, sep = "/")
options$underlying.price <- options.list[["underlying_price"]]
return(options)
}
答案 2 :(得分：0)
您的getOptionChain.yahoo.patch代码中存在错误。你在dateToMillis中添加了一天是错误的，或者至少与我之前的代码工作方式有所不同，如果我没有记错的话。应该是：
dateToMillis <- function(x)
{
as.numeric(x) * 86400000 /1000
}